PhDr. Jiří Kukačka
Position: Ph.D. Candidate
Field of interest: Financial Econometrics, Quantitative Finance, Heterogeneous Agent Models, Behavioral Finance
Membership: PhD Candidates
Contact
Office: 602 IES, 247 ÚTIA
Email: jiri.kukacka@gmail.com
Phone: +420 602 767 305
Personal web pages: http://www.linkedin.com/in/jirikukacka
Available: upon request via email above, please
More information
Assistant
JEM116 - Applied Econometrics
JEB110 - Econometrics II
PhD study
Tutor: PhDr. Jozef Baruník Ph.D., ČEZ Chair
Studying from: 2011
PhDr examination: 03/2012
Final exam:
Dissertation Proposal defence:
Dissertation defence:
Current work:
Empirical Validation of Heterogeneous Agent Models
Dissertation topic:
Empirical Validation of Heterogeneous Agent Models
Disertation abstract:
Topic Characteristics:
In recent academic financial literature, the Representative Agent Approach and the Efficient Market Hypothesis, which dominated the field in the past, are being replaced by more realistic agent based computational approaches. My dissertation research will concur the topic of my Master Thesis and will focus on a subset of models of this kind, the Heterogeneous Agent Models, HAMs henceforth. The crucial idea of all HAMs is the abandonment of agents' full rationality towards bounded, limited rationality. HAMs employ interacting groups of boundedly rational heterogeneous agents using simple but reasonable heuristics or rules of thumb to model the financial world and this methodology appears very successful in replicating observed stylized facts in financial time series (e.g. excess trading volume, heavy tails, volatility clustering and others). Moreover, HAM methodology is able to produce models which are, considering the inner logic of economic modelling, much closer to the real world then the 'efficient' models can ever be. In my opinion, this is one of the intrinsic goals economics aspire to achieve and therefore I find this particular research direction and effort markedly purposeful.
Research Outline:
The outline of my dissertation research and effort is as follows. Considering HAM methodology, I plan to follow the Brock & Hommes (1998), Hommes (2006) and Hommes & Wagener (2009) approach and its extensions, which I got familiar with during the work on my Master Thesis. As only the most simple HAMs appear analytically tractable, it is inevitable to employ the computational simulations approach. For this purpose, I plan to work in the Wolfram Mathematica environment and develop and debug algorithms for empirical validation of a particular HAM design. As even one single particular theoretical HAM design offers almost infinite number of different possible settings, my effort will be heading towards the ultimate goal of a reasonably realistic, but computationally feasible model, i.e. a model with reasonably larger number of both agents and strategies, but consuming (form the computational point of view) only the rational amount of time. The combination of empirical estimation and trial and error calibration of key parameters needs to be employed. Therefore, at the moment, the multidimensional grid search in connection with usual statistical and econometric tools of data analysis seems to be the optimal possible approach.
See more, please, in my Individual Study Plan at the bottom of this page.
Optional courses:
2012/13 SS: NDES - Nonlinear Dynamic Economic Systems: Theory and Applications
2012/13 WS: NDES - Nonlinear Dynamic Economic Systems: Theory and Applications
2011/12 SS: AAEM - Alternative Approaches to Economic Modeling
2011/12 WS: NDES - Nonlinear Dynamic Economic Systems: Theory and Applications
CV
Organisation Memberships
Society for Economic Science with Heterogeneous Interacting Agents, Society for Computational Economics
Education
2011+: Ph.D., Economics, Charles University in Prague
2012: PhDr. (M.Phil. equivalent), Economics, Charles University in Prague
2008 - 2011: Mgr. (M.A. equivalent), Economics, Charles University in Prague
2008 - 2009: University of Bath, School of Management, United Kingdom
2005 - 2008: Bc. (B.A. equivalent), Economic Theories, Charles University in Prague
Job history
Research Assistant:
2013+: Academy of Sciences of the Czech Republic, Institute of Information Theory and Automation (UTIA), Department of Econometrics
Teaching Assistant:
2012/13 SS: JEM116 - Applied Econometrics
2012/13 WS: JEB110 - Econometrics II
2011/12 SS: JEM116 - Applied Econometrics
2011/12 WS: JEB110 - Econometrics II
2009: National Economic Council (NERV), assistant to Professor Ing. Michal Mejstrik, CSc., economic analyses of particular financial topics during the preparation of the National Crisis Packet
Extra activities
E-klub IES FSV UK, Charles University International Club
Awards and prizes
Golden Course Teaching Award (best master level economic course) for Applied Econometrics (with doc. Horvath, Dr. Barunik, and Dr. Baxa), 2012
Dean's Award for an extraordinarily good masters diploma thesis, 2011
RWE Scholarship 2009 - 2011
Dean's Award for an excellent Final State Exam performance and for an extraordinarily good bachelors diploma thesis, 2008
Topics for supervision
Bachelor theses
Students are welcome to contact me via email and consult the supervision of Bachelor theses related to fields of my research interest:
Topics on Heterogeneous Agent Modelling (HAMs) in Finance, see a video about the HAM topic
Topics on Behavioural Finance, see videos about the BF topic here and here
Topics on Corporate Social Responsibility (CSR) - econometric approach, empirical validation, see videos about the CSR topic and CSV topic
Downloadable
Evaluation 2011/2012
Evaluation 2011/2012 scan
ISP 2011/2012
ISP update 2012/2013
ISP update 2012/2013 scan
Latsis Workshop 2012 poster